Fischer Black

Fischer Sheffey Black ( born January 11, 1938August 30, 1995 ) was an American economist. Together with Myron Scholes, he has developed the Black- Scholes model for the valuation of financial options.

Life

Black received his PhD in 1964 at Harvard University in applied mathematics, after 1958 there received his bachelor's degree in physics. Later ( 1971 ) he worked as a professor at the Faculty of Economics of the University of Chicago and MIT - Sloan School of Management ( 1980 ). In 1973, Black, " The Pricing of Options and Corporate Liabilities", published. From 1984 he worked at the investment bank Goldman Sachs. He was also involved in the development of the Black- Derman - Toy model for the evaluation of option contracts as well as the Black- Litterman model.

At the Sloan School he met Myron Scholes and Robert C. Merton know later. Work on the valuation of stock options called Black -Scholes model were known from this scientific cooperation out. The results of this work eventually led to the 1997 Nobel Prize in Economics. Fischer Black, however, was deceased at this time two years ago of throat cancer, otherwise he would have been co- winners, however he learned during the Nobel Prize ceremony a posthumous appreciation.

The Fischer Black Prize is awarded in memory in him.

Work (selection)

  • "Banking and Interest Rates in a World without Money: the effects of uncontrolled banking, 1970, Journal of Banking Research
  • " Active and Passive Monetary Policy in a Neoclassical Model ", 1972, Journal of Finance
  • "The Valuation of Option Contracts and a Test of Market Efficiency", with MSScholes, 1972, Journal of Finance
  • " Capital Market Equilibrium with Restricted Borrowing ", 1972, Journal of Business
  • "The Capital Asset Pricing Model: Some empirical tests", with M. Jensen and MSScholes, 1972, in Jensen, editor, Studies in the Theory of Capital Markets
  • "The Pricing of Options and Corporate Liabilities", with MSScholes, 1973, JPE
  • " The Effects of Dividend Yield and Dividend Policy on Common Stock Prices and Returns," with MSScholes, 1974, Journal of Financial Economics
  • " International Capital Market Equilibrium with Investment Barriers ," 1974, Journal of Financial Economics
  • " Uniqueness of the Price Level in Monetary Growth Models with Rational Expectations", 1974, JET
  • "The Pricing of Commodity Contracts", 1976, Journal of Financial Econ
  • " An Approach to the Regulation of Bank Holding Companies", with MH Miller and R. A. Posner, 1978, J of Business
  • "Global Monetarism in a World of National Currencies", 1978, Columbia Journal of World Business
  • "The Magic in Earnings: economic earnings versus accounting earnings", 1980, Journal of Financial Analysis
  • "When Is a Positive Income Tax Optimal? ", 1981, NBER Working Paper no. W0631
  • " General Equilibrium and Business Cycles ", 1982, NBER Working Paper no. W0950
  • " The Tax Advantages of Pension Fund Investments in Bonds", 1980, NBER Working Paper no. W053
  • " Noise", 1986, Journal of Finance
  • "Equilibrium Exchange Rate Hedging ", 1989, NBER Working Paper no. W2947
  • "Hedging, Speculation, and Systemic Risk ", 1989, Journal of Derivatives, Vol 2 No. 4
  • " Mean Reversion and Consumption Smoothing ", 1989, NBER Working Paper no. W2946
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